On calendar energy options

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Publication:3119616

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DOI10.3233/RDA-2012-0088zbMath1409.91242OpenAlexW2227558886MaRDI QIDQ3119616

Lide Li, Paul R. Kleindorfer

Publication date: 12 March 2019

Published in: Risk and Decision Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.3233/rda-2012-0088

zbMATH Keywords

correlation ARMA energy market hedge swaption calendar option

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20)

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